Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0327 |
| Annualized Std Dev | 0.2667 |
| Annualized Sharpe (Rf=0%) | 0.1224 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4631.0000 |
| NAs | 1.0000 |
| Minimum | -0.1246 |
| Quartile 1 | -0.0069 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0082 |
| Maximum | 0.1753 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0168 |
| Skewness | -0.0707 |
| Kurtosis | 9.7239 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0122 |
| Gain Deviation | 0.0120 |
| Loss Deviation | 0.0132 |
| Downside Deviation (MAR=210%) | 0.0166 |
| Downside Deviation (Rf=0%) | 0.0120 |
| Downside Deviation (0%) | 0.0120 |
| Maximum Drawdown | 0.6617 |
| Historical VaR (95%) | -0.0254 |
| Historical ES (95%) | -0.0410 |
| Modified VaR (95%) | -0.0244 |
| Modified ES (95%) | -0.0348 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-09 | NA | -0.6617 | 3342 | 312 | NA |
| 2003-01-08 | 2003-03-12 | 2003-05-05 | -0.2313 | 81 | 44 | 37 |
| 2004-02-18 | 2004-08-12 | 2004-11-05 | -0.1508 | 183 | 123 | 60 |
| 2006-05-11 | 2006-06-13 | 2006-10-04 | -0.1364 | 102 | 23 | 79 |
| 2007-07-13 | 2007-08-15 | 2007-10-01 | -0.1195 | 56 | 24 | 32 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.4 | 4.9 | 0 | 6.4 |
| 2003 | 2.6 | 2.6 | 2.1 | 0.1 | 1.2 | -0.3 | -0.1 | -0.1 | 3 | -0.2 | 1.6 | 1.8 | 15.2 |
| 2004 | -0.6 | 0.6 | 1.9 | -0.6 | -0.9 | -1.4 | -0.1 | -0.2 | 2.3 | 0.2 | 2.3 | -0.6 | 2.8 |
| 2005 | 0.2 | 1.4 | -0.4 | 0.8 | 0 | -0.8 | 0.7 | 0.9 | -0.6 | 0.1 | 1.7 | -0.8 | 3.3 |
| 2006 | 0.1 | 1 | -0.5 | 0.1 | 1.1 | 1.5 | -0.6 | 0.3 | -0.2 | -0.5 | -0.9 | 0.2 | 1.4 |
| 2007 | 0.6 | -1.5 | 0.1 | -0.1 | 0.7 | 0.4 | 0.5 | 1.5 | 0.9 | -2.8 | 0.4 | -1.6 | -0.7 |
| 2008 | 1.6 | -3.3 | 3.5 | 0.9 | 0.2 | -0.6 | -1.3 | -0.5 | 0 | 2.2 | -9 | 0.6 | -6.1 |
| 2009 | -1.6 | -0.6 | 2 | 0.8 | 2.7 | 1.7 | 1.3 | -3.5 | -3 | -4.6 | 2.7 | -1.2 | -3.7 |
| 2010 | 2.6 | 1.7 | 2.4 | -0.6 | -1.8 | 2 | -0.6 | 4.5 | 0.9 | -1.1 | 4.2 | 0.7 | 15.9 |
| 2011 | 2.6 | -1.9 | 1.5 | 0.1 | -3.2 | 1.4 | -2.8 | -1.9 | -4.1 | -5.9 | -0.9 | 0.5 | -13.9 |
| 2012 | 2.2 | 1.6 | 1.2 | 0.5 | -2.3 | 6.4 | 0 | 1.8 | 1.1 | 1.2 | 0.3 | 2.3 | 17.3 |
| 2013 | 1.3 | -0.6 | -0.6 | -0.7 | -2.2 | 1 | 1.4 | -1.2 | 1.2 | -0.7 | 0.2 | 0.2 | -0.7 |
| 2014 | -1.5 | 0.3 | 1 | 0.2 | 0.4 | 0.8 | -1 | 0 | -1.1 | 1.8 | -0.2 | -0.9 | -0.1 |
| 2015 | -1.9 | 0.4 | 0.9 | 0.9 | -0.1 | 0.6 | 0.7 | -2.6 | -0.3 | 0.1 | 0.3 | -1.3 | -2.3 |
| 2016 | -0.4 | 3.1 | -1.1 | -0.8 | -0.1 | -0.1 | -1.3 | 0.5 | 1.6 | -0.6 | -0.2 | 0.8 | 1.3 |
| 2017 | 0.3 | 1.7 | 0.4 | 0.6 | 0.5 | -0.4 | 0.6 | 0.3 | 1.1 | 0.3 | -0.8 | -0.4 | 4.3 |
| 2018 | 0 | -0.9 | 1.2 | -0.6 | 1 | 1.2 | -0.7 | -1.4 | 0.1 | 1.4 | -0.5 | 0.4 | 1.1 |
| 2019 | 0.2 | 0.7 | 1.2 | -0.8 | -1.1 | 0.1 | -0.4 | 0 | -1.1 | 0.6 | -0.2 | 0.5 | -0.2 |
| 2020 | -1.8 | -0.8 | -5.1 | -2.2 | 2 | 0 | -2.2 | 0.1 | 0.4 | -0.3 | 2.5 | -1.1 | -8.4 |
| 2021 | 1.4 | 1.9 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2002-10-22 24.5 SPY 89.5 -0.0072 0.0092 0.07 0.0567 -0.182 -0.288 NA <NA> NA NA NA
2 2002-10-23 23.9 SPY 90.2 0.0076 0.0422 0.0959 0.0738 -0.172 -0.290 NA <NA> NA NA NA
3 2002-10-24 23.8 SPY 88.4 -0.0204 0.001 0.0475 0.0322 -0.186 -0.311 NA <NA> NA NA NA
4 2002-10-25 24.0 SPY 90.2 0.0208 0.0176 0.0521 0.00480 -0.184 -0.301 NA <NA> NA NA NA
5 2002-10-28 24.4 SPY 89.6 -0.0065 -0.0062 0.0829 -0.0146 -0.188 -0.311 NA <NA> NA NA NA
6 2002-10-29 23.8 SPY 88.6 -0.0116 -0.0106 0.0829 -0.0284 -0.176 -0.316 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
